GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
From MaRDI portal
Publication:5065458
DOI10.1017/S0266466621000013zbMath1493.62598arXiv1803.10871OpenAlexW3129755835MaRDI QIDQ5065458
Pierre Perron, Alessandro Casini
Publication date: 21 March 2022
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.10871
Related Items (3)
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Structural breaks with deterministic and stochastic trends
- Estimating restricted structural change models
- Confidence sets for the date of a single break in linear time series regressions
- Tests for changing mean with monotonic power
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Classical Laplace estimation for \(\root3\of n\)-consistent estimators: improved convergence rates and rate-adaptive inference
- Inference regarding multiple structural changes in linear models with endogenous regressors
- The maximum likelihood method for testing changes in the parameters of normal observations
- Estimating structural changes in regression quantiles
- Cube root asymptotics
- Asymptotics and optimal bandwidth selection for highest density region estimation
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
- On some difficulties in a frequency theory of inference
- Asymptotic relations of M-estimates and R-estimates in linear regression model
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- An MCMC approach to classical estimation.
- The ABC of simulation estimation with auxiliary statistics
- New distribution theory for the estimation of structural break point in mean
- On convergence of posterior distributions
- Continuous record Laplace-based inference about the break date in structural change models
- Asymptotic normality of plug-in level set estimates
- Improved Tests for Forecast Comparisons in the Presence of Instabilities
- A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Some Problems Connected with Statistical Inference
- Some Validity Criteria for Statistical Inferences
- A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
- Testing and estimating change-points in time series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- The likelihood ratio test for a change-point in simple linear regression
- Testing for the Constancy of Parameters Over Time
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Testing a Sequence of Observations for a Shift in Location
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- Likelihood-ratio-based confidence sets for the timing of structural breaks
- Credibility of Confidence Sets in Nonstandard Econometric Problems
- Nonmonotonic power for tests of a mean shift in a time series§
- Estimating and Testing Structural Changes in Multivariate Regressions
- Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
- Some contributions to the asymptotic theory of Bayes solutions
- Inference about the change-point from cumulative sum tests
- Conditional Confidence Level Properties
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
This page was built for publication: GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
